An empirical comparison of continuous-time models of implied volatility indices

Journal of Banking and Finance

Volumn 31, Issue 12, 2007, Pages 3584-3603

  Dotsis, George ^a   Psychoyios, Dimitris ^b   Skiadopoulos, George ^c,d  

^a UNIVERSITY OF ESSEX   (United Kingdom)

^b UNIVERSITY OF MANCHESTER   (United Kingdom)

^c UNIVERSITY OF PIRAEUS   (Greece)

^d UNIVERSITY OF WARWICK   (United Kingdom)

Author keywords

Conditional characteristic function; Continuous time estimation; Implied volatility indices; VIX futures; Volatility derivatives

Indexed keywords

EID: 35948964015     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.01.011     Document Type: Article

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